Research: Rating Action: Moody’s Assigns Final Ratings to MMAF Equipment Finance LLC 2022-A

New York, April 13, 2022 — Moody’s Investors Service (“Moody’s”) has assigned final ratings of P-1 (sf) to Class A-1 Notes and Aaa (sf) to Classes A-2, A-3 and Class A-4 Notes (collectively, the Notes) issued by MMAF Equipment Finance LLC 2022-A (MMAF 2022-A or the Issuer). The sponsor and manager is MassMutual Asset Finance LLC (MMAF), a wholly owned subsidiary of Massachusetts Mutual Life Insurance Company (Aa3 stable).

The Notes are secured by fixed rate equipment loans and leases, which are secured by transportation equipment, telecommunications equipment, power management equipment and other types of equipment. The obligors under the contracts are mostly medium to large companies of high credit quality.

The full rating actions are as follows:

Issuer: MMAF Equipment Finance LLC 2022-A

Class A-1 notes, final rating assigned P-1 (sf)

Class A-2 notes, final rating assigned Aaa (sf)

Class A-3 notes, final rating assigned Aaa (sf)

Class A-4 notes, final rating assigned Aaa (sf)

RATINGS RATIONALE

Ratings are based on an assessment of the credit quality of the underlying collateral, structural characteristics, historical performance of the managed portfolio and MMAF’s previous securitizations of similar collateral, the experience and expertise of MMAF as initiator and manager, and the legal aspects of the transaction. In addition, we base our P-1 (sf) rating of the A-1 category notes on the cash flows that we expect the underlying claims to generate during the collection periods preceding the final legal maturity date of the Class A-1 tickets on May 3, 2023.

At closing, the bonds benefit from a firm credit enhancement equal to 10.75% of the initial balance of the pool, composed of a non-declining cash reserve account of 0.50% and an overcollateralisation of 10, 25%. Excess Spread may be available as additional credit protection for the Notes. The transaction has a fully turbo structure. The credit enhancement for the Notes will increase over time because any excess spread will be used to redeem the Notes, thereby increasing the overcollateralization.

MMAF, as sponsor and service agent, has engaged Vervent, Inc. as sub service agent.

MAIN METHODOLOGY

The main methodology used in these ratings is “Equipment Lease and Loan Securitizations Methodology” published in August 2021 and available on https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1243607. You can also visit the rating methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of ratings:

Moody’s could downgrade ratings if levels of credit protection are insufficient to protect investors against current expectations of loss. Moody’s updated loss expectations may be worse than its original expectation due to a higher frequency of default by the underlying obligors of the loans and leases, or a greater than expected deterioration in the value of the equipment that secures the debtor’s promise to pay. As key drivers of credit performance, negative developments in the US macro economy and the performance of various sectors in which obligors operate could also affect ratings.

In addition, Moody’s may downgrade the short-term rating of the Class A-1 Notes if there is a material slowdown in principal collections during the first year of the transaction, which could result from, among other reasons, high payment delays or an interruption of service that impacts debtor payments.

Additional research, including a pre-sale report for this transaction, is available at www.moodys.com.

REGULATORY INFORMATION

For details on key rating assumptions and Moody’s sensitivity analysis, see the Methodological Assumptions and Sensitivity to Assumptions sections in the Disclosure Form. Rating symbols and definitions from Moody’s are available at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.

Further information on representations, warranties and enforcement mechanisms available to investors can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1325091.

To rate this transaction, Moody’s CDOROM™ is used to model the expected loss for each tranche. Moody’s CDOROM™ is a Monte Carlo simulation tool that takes as input the probability of default of each underlying asset. Each underlying asset default behavior is then modeled individually with a standard multi-factor model incorporating both intra- and inter-industry correlation. The correlation structure is based on a Gaussian copula. Each Monte Carlo scenario simulates defaults and, where applicable, recovery rates, to deduce the losses on a portfolio. For a synthetic trade, the model then allocates the losses to the tranches in reverse order of priority to derive the loss on the tranches. By repeating this process and averaging over the number of simulations, Moody’s can derive the expected loss on the tranches. For a cash transaction, the portfolio loss, or default distribution, produced by Moody’s CDOROM™ may be entered into a separate cash flow model in accordance with its payment priority to determine the expected loss of each tranche.

Moody’s quantitative analysis involves an evaluation of scenarios that focus on factors contributing to rating sensitivity and consider the likelihood of material collateral losses or impaired cash flows.

For ratings issued on a program, series, category/class of debt or security, this announcement provides certain regulatory information regarding each rating of a subsequently issued bond or note of the same series, category/class of debt, security or under a program for which ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a media provider, this announcement provides certain regulatory information relating to the credit rating action on the media provider and each particular credit rating action for securities whose credit ratings are derived from the support provider’s credit rating. For the provisional ratings, this press release provides certain regulatory information relating to the provisional rating assigned, and to a final rating that may be assigned after the final issuance of the debt, in each case where the structure and conditions of the transaction n have not changed prior to the final rating being assigned in a way that would have affected the rating. For more information, please see the ratings tab on the respective issuer’s issuer/entity page on www.moodys.com.

For all relevant securities or rated entities receiving direct credit support from the lead entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action , the associated regulatory information will be that of the guarantor entity. Exceptions to this approach exist for the following information, if applicable to the jurisdiction: Ancillary services, Information to be provided to the rated entity, Information to be provided by the rated entity.

The ratings have been communicated to the rated entity or its designated agent(s) and issued without modification resulting from such communication.

These notes are solicited. Please refer to Moody’s Policy on the Designation and Assignment of Unsolicited Credit Ratings available on its website www.moodys.com.

The regulatory information contained in this press release applies to the credit rating and, if applicable, the outlook or rating revision relating thereto.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis are available at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.

The worldwide credit rating on this credit rating announcement has been issued by one of Moody’s affiliates outside the EU and is approved by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main. -le-Main 60322, Germany, in accordance with Article 4(3) of Regulation (EC) No 1060/2009 on credit rating agencies. Further information on the EU approval status and which Moody’s office issued the credit rating is available at www.moodys.com.

The worldwide credit rating on this credit rating announcement has been issued by one of Moody’s affiliates outside the UK and is approved by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the United Kingdom. . Further information on the UK endorsement status and the Moody’s office that issued the credit rating is available at www.moodys.com.

Please check www.moodys.com for updates on changes to the lead rating analyst and Moody’s legal entity that issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory information for each credit rating.

Chloe Zhang
Assistant Vice President – Analyst
Structured Finance Group
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
UNITED STATES
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

Aron Bergman
Vice President – Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

Release Office:
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
UNITED STATES
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

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